Katsiampa, P. orcid.org/0000-0003-0477-6503 (2019) Volatility co-movement between Bitcoin and Ether. Finance Research Letters, 30. pp. 221-227. ISSN 1544-6123
Abstract
Using a bivariate Diagonal BEKK model, this paper investigates the volatility dynamics of the two major cryptocurrencies, namely Bitcoin and Ether. We find evidence of interdependencies in the cryptocurrency market, while it is shown that the two cryptocurrencies' conditional volatility and correlation are responsive to major news. In addition, we show that Ether can be an effective hedge against Bitcoin, while the analysis of optimal portfolio weights indicates that Bitcoin should outweigh Ether. Understanding volatility movements and interdependencies in cryptocurrency markets is important for appropriate investment management, and our study can thus assist cryptocurrency users in making more informed decisions.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier. This is an author produced version of a paper subsequently published in Finance Research Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Bitcoin; Ether; Cryptocurrency; Diagonal BEKK; Multivariate GARCH; Conditional volatility |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 02 Oct 2019 10:47 |
Last Modified: | 05 Oct 2019 00:39 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.frl.2018.10.005 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:151550 |
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